GARCHM_UV_DUMMY: RATS program to demonstrate estimation of a GARCH-M with dummy M effect

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: An example of univariate GARCH-M with dummy shift in the "M" effect and variance. Based upon a model from Sun and Tong(2010), "Risk and the January effect", Journal of Banking and Finance, vol 34, no 5, 965-974.

Language: RATS
Requires: RATS 11.00
Keywords: ARCH-GARCH (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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https://estima.com/procedures/garchm_uv_dummy.rprj (application/zip)

Related works:
Journal Article: Risk and the January effect (2010)
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